The purchasing power parity persistence paradigm

• 成果类型: Article
• 署名作者: Murray, CJ; Papell, DH
• 署名单位: University of Houston System; University of Houston
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(01)00107-6
• 发表日期: 2002
• 页码: 1-19
• 关键词: ppp; exchange rate persistence; half-lives; confidence intervals

摘要

Rogoff (Journal of Economic Literature 1996;34:647-668) describes the 'remarkable consensus' of 3-5 year half-lives of purchasing power parity deviations among studies using long-horizon data. These studies, however, focus on rejections of unit roots in real exchange rates and do not use appropriate techniques to measure persistence. Our half-life estimates explicitly account for serial correlation, sampling uncertainty and, most importantly, small sample bias. Calculating confidence intervals as well as point estimates for long-horizon and post-1973 data, we find that, even though most of the point estimates lie within the 3-5 year range, univariate methods provide virtually no information regarding the size of the half-lives. (C) 2002 Elsevier Science B.V. All rights reserved.